Article ID Journal Published Year Pages File Type
5061842 Economics Letters 2008 4 Pages PDF
Abstract

A vector integer-valued moving average (VINMA) model is introduced. The CLS and FGLS estimators are discussed. Empirically, it is found that the spillover effect from Ericsson B to AstraZeneca is larger than that from AstraZeneca to Ericsson B.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A vector integer-valued moving average model for high frequency financial count data
Authors
,